New Findings Regarding Day‐of‐the‐Week Returns over Trading and Non‐Trading Periods: A Note
将每日收盘到收盘收益率分解为交易期和非交易期收益率，发现股票指数从周五收盘到周一收盘的平均负收益全部发生在非交易期（周五收盘到周一开盘），且各交易日的平均交易期收益率相同。
ABSTRACT This paper decomposes daily close to close returns into trading day and non‐trading day returns. We discover that all of the average negative returns from Friday close to Monday close documented in the literature for stock market indexes occurs during the non‐trading period from Friday close to Monday open. In addition, average trading day returns (open to close) are identical for all days of the week. January/firm size/turn‐of‐the‐year anomalies are shown to be interrelated with day‐of‐the‐week returns.